both are command line tools to do things on a remote server. for sftp also gui's exist. the main difference between sftp and scp is the same as between ftp and cp. with ftp/sftp (secure ftp) you establish a secure (ftp is not secure since it sends passwords in clear readable text!) connection to a remote server and can do things like copying, moving, deleting etc. files. with scp you can only securely copy (scp=secure copy).
by the way: perhaps you know the "Secure Shell" program from Windows. there you have a commandline tool like a linux console in which you could establish a sftp session in which you can give e.g. the scp command but there is also a gui that provides comfortable copying...